I have a Test Suite with 3 test cases, All have been set to Error Behaviour - Continue with sibling BUT when I run it, if the 2nd test case fails, the 3rd test case is just ignored. This is not what I was expecting.
Are my settings being overridden somewhere else?

It's hard to say what's wrong without seeing your test suite. Are you sure your test structure is similar to the 'continue with sibling' example from user guide?...
BTW, have you created all test cases from scratch or you copied them from another solution/project?